English, Article, Journal or magazine article edition: What Explains High Commodity Price Volatility? Estimating a Unified Model of Common and Commodity-Specific, High- and Low-Frequency Factors Karali, Berna; Power, Gabriel J.

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • What Explains High Commodity Price Volatility? Estimating a Unified Model of Common and Commodity-Specific, High- and Low-Frequency Factors
Author
  • Karali, Berna
  • Power, Gabriel J.
Physical Description
  • preprint
Notes
  • We estimate a model of common and commodity-specific, high- and low-frequency factors, built on the spline-GARCH model of Engle and Rangel (2008) to explain the period of exceptionally high price volatility in commodity markets during 2006-2008. We find that decomposing realized volatility into high- and low-frequency components reveals the impact of slowly-evolving macroeconomic variables on the price volatility. Further, we find that while macroeconomic variables have similar effects within the same commodity category (e.g., storable agricultural), they have different effects across commodity groups (e.g., live stock versus energy).
  • volatility, spline-GARCH, futures markets, Agricultural Finance, Demand and Price Analysis,
  • RePEc:ags:aaea09:49576
Language
  • English
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